Long-term data show that the dynamic efficiency condition <i>rg</i> holds when <i>g</i> is represented by the average growth rate of real GDP if <i>r</i> is the average real rate of return on equity, <i>E(r<sup>e</sup>)</i>, but not if <i>r</i> is the risk-free rate, <i>r<sup>f</sup></i>. This pattern accords with a simple disaster-risk model calibrated to...